OK so per Anonymous, I deleted the existing Makefile. Per marto I started a new session. Per Khen1950fx I set the env variable, but it's at /usr/local/pkgconfig.

On trying to install again, I get

cpan[1]> install Math::GSL
Going to read '/root/.cpan/Metadata'
Database was generated on Fri, 04 Mar 2011 10:27:20 GMT
Running install for module 'Math::GSL'
Running make for L/LE/LETO/Math-GSL-0.22.tar.gz
Checksum for /root/.cpan/sources/authors/id/L/LE/LETO/Math-GSL-0.22.ta+r.gz ok
Scanning cache /root/.cpan/build for sizes
......................................................................+......DONE
CPAN.pm: Going to build L/LE/LETO/Math-GSL-0.22.tar.gz
Checking for GSL..Package gsl was not found in the pkg-config search p+ath.
Perhaps you should add the directory containing `gsl.pc'
to the PKG_CONFIG_PATH environment variable
No package 'gsl' found
at Build.PL line 108
*** can not find package gsl
*** check that it is properly installed and available in PKG_CONFIG_PA+TH
at Build.PL line 108
Warning: No success on command[/usr/bin/perl Build.PL ]
'YAML' not installed, will not store persistent state
LETO/Math-GSL-0.22.tar.gz
/usr/bin/perl Build.PL -- NOT OK
Running Build test
Make had some problems, won't test
Running Build install
Make had some problems, won't install
Could not read '/root/.cpan/build/Math-GSL-0.22-pXritF/META.yml'. Fall+ing back to other methods to determine prerequisites
Failed during this command:
LETO/Math-GSL-0.22.tar.gz : writemakefile NO '/usr+/bin/perl Build.PL ' returned status 256

But locate gsl.pc returns nothing :-/ locate GSL only returns stuff in /home/corman/.cpan/build. And it strikes me that this could be part of the problem. When I first tried to install this I forgot to SU to root. Do these files need to be in /root/.cpan/build if I'm running CPAN as root?

But that still doesn't address the gsl.pc issue...
UPDATE: I installed YAML. Now CPAN says:

Because that seems to be the generally accepted way of installing packages and because for a complex package like this I don't want to spend all day manually installing dependencies, etc. Why do you have a better way to do it?

Yes. By all means, use cpan to install all the dependencies Math::GSL has, but then use look to instll Math::GSL manually.
Its easier than trying to filter all noise cpan makes other methods to determine prerequisites

Maybe you need to install the respective *-dev package for the GSL library (?)

Not entirely sure about Fedora, but most distros split their library packages into two parts: one for the runtime libs (always needed), and one for the "development stuff" (with the package name usually ending in "-dev" or "-devel"), like header files, static libs, the package config (".pc") file, etc., which are only needed if you build software that links against the library in question.

When putting a smiley right before a closing parenthesis, do you:

Use two parentheses: (Like this: :) )
Use one parenthesis: (Like this: :)
Reverse direction of the smiley: (Like this: (: )
Use angle/square brackets instead of parentheses
Use C-style commenting to set the smiley off from the closing parenthesis
Make the smiley a dunce: (:>
I disapprove of emoticons
Other